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Market Risk Model Validation Lead

Market Risk Model Validation Lead

Societe Generale Global Solution CentreBengaluru, Republic Of India, IN
4 days ago
Job description

Responsibilities :

  • Identify and evaluates the conceptual soundness of the pricing ( Stochastic Fixed income and equity models) and market regulatory models (FRTB, VAR,IRC,CRM…) along with assumptions and limitations
  • Evaluate the implementation of the model by independent replication of model using SG pricing library.
  • Assess the performance of the model by independently performing the calibration tests, degeneracy tests in case of exotic payoffs, benchmarking and various sensitivity tests covering stress scenarios.
  • Review the quality of the input data by checking arbitrage free conditions and by liaising with various stakeholders such as IPV and data control teams to ensure data adequacy
  • Evaluate the model usage by verifying the consistency and effectiveness of the risk management system in which the models are used and the steering decisions based on this use,
  • Formulate recommendations, which contributes to the improvement of the model as per SR-11-7 standards
  • Prepare high quality audit deliverables including working papers and finding sheets.
  • Write formal & clear reports to communicate audit results to management
  • Assists audit management in preparation & execution of the audit plan

Required Skills :

  • Master's or Ph.D. in a quantitative discipline such as mathematics, statistics, Finance, or physics
  • Having 10+ years of experience in Pricing and Regulatory market model development or Validation
  • Having excellent mathematical skills including stochastic calculus, numerical methods (PDE and Montecarlo)
  • Knowledge of OTC derivative products(including exotics and Hybrids) across multiple asset classes (Equity ,IR and FX)
  • Having CQF certification is an added advantage
  • Knowledge specific to Market regulations like FRTB, ECB and CFTC are an added advantage

    • Soft skills :

  • Ability to work in a team : integrate, adapt, and share information
  • Possess good presentation and documentation skills
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    Risk Model Validation • Bengaluru, Republic Of India, IN